Definitely not the best, but the last one I watched was Rob Zombie's 31. It was pretty messed up.
There are so many great ones, I could never pick a best.
Halloween (original and remake)
High Tension
the Shining
Exorcist
original Nightmare on Elm Street
House of 1000 Corpses and Devil's Rejects
the first Saw
Texas Chainsaw Massacre
If you like just gorefest movies:
Hostel
the Burning Moon
Nekromantik
I've seen some really bizarre stuff. My guy friends have disturbing taste, but I watch anyway.

I just saw it tonight.Alien: Covenant
It was such a great film.
Horror, action, philosophy, and religion, were blended seamlessly into a visual work that I can only describe as a "cinematic masterstroke".
I think it is the best movie I have ever seen. I don't say that lightly either considering the quality of films today. But Alien: Covenant is a rarity in so many more ways than one. I was blown away. I intend to see it a second time, and I cannot WAIT for the DVD release. I highly recommend you buy a ticket and watch it while it is still in theaters. You absolutely will not regret it.

I like horror but ironically I don't wtch many horror movies lol.
Among the ones I've seen, I'd say Alien/Aliens/Alien Covenant are all very good, as was the Babadook, which I think might be one of the best recent horror movies, especially since it was so original and done on such a small budget.

Most horror films bore the crap out of me.
I liked the old Omen trilogy a lot, as well as some 00's titles like "The Descent" (2005), A. Aja's "Mirrors" (2008) and the original "[Rec]" (2007) in the found footage style.

I love the Saw movies. They have an interesting back story. Great message (If you look beyond all the gore and sadisticism.) The basic message is to value your life and be greatful. (Some people are terminally and wont get to live the life you live.)